Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0169 |
| Annualized Std Dev | 0.0665 |
| Annualized Sharpe (Rf=0%) | 0.2534 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4694.0000 |
| NAs | 1.0000 |
| Minimum | -0.0251 |
| Quartile 1 | -0.0024 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0026 |
| Maximum | 0.0343 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0042 |
| Skewness | 0.0144 |
| Kurtosis | 2.9711 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0030 |
| Gain Deviation | 0.0027 |
| Loss Deviation | 0.0028 |
| Downside Deviation (MAR=210%) | 0.0092 |
| Downside Deviation (Rf=0%) | 0.0030 |
| Downside Deviation (0%) | 0.0030 |
| Maximum Drawdown | 0.1237 |
| Historical VaR (95%) | -0.0067 |
| Historical ES (95%) | -0.0094 |
| Modified VaR (95%) | -0.0065 |
| Modified ES (95%) | -0.0097 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2016-07-11 | 2018-10-05 | 2019-08-15 | -0.1237 | 781 | 566 | 215 |
| 2003-06-16 | 2007-06-12 | 2008-02-29 | -0.1218 | 1186 | 1005 | 181 |
| 2008-12-19 | 2009-06-10 | 2010-10-07 | -0.1187 | 453 | 118 | 335 |
| 2012-07-26 | 2013-09-05 | 2015-01-15 | -0.1026 | 622 | 279 | 343 |
| 2010-10-12 | 2011-02-08 | 2011-08-04 | -0.0893 | 206 | 83 | 123 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | 0.4 | 0.2 | -1.2 | -0.9 | 0.1 | -0.5 | -1.9 |
| 2003 | 0 | 0.3 | -0.4 | -0.3 | -0.1 | -0.5 | -0.5 | -0.3 | -0.4 | 0.4 | -0.9 | -0.2 | -2.7 |
| 2004 | 0.5 | -0.2 | -0.5 | 0.2 | -0.8 | -0.1 | 0.7 | -0.3 | -0.7 | -0.8 | -0.3 | -0.2 | -2.6 |
| 2005 | -0.4 | -0.3 | -0.1 | -0.4 | 0.3 | -1.2 | -0.5 | -0.2 | -0.3 | -0.4 | -0.6 | 0 | -3.9 |
| 2006 | -0.6 | -0.5 | 0.1 | -0.9 | -0.2 | 0.3 | -0.4 | -0.2 | -0.2 | -0.1 | -0.1 | 0 | -2.8 |
| 2007 | -0.5 | -0.2 | -0.1 | -0.4 | -0.8 | 0.5 | -0.7 | 0 | -0.3 | 0.5 | 0.1 | 0.5 | -1.3 |
| 2008 | 0 | 1.1 | -1.2 | -0.3 | 0.3 | -0.6 | -0.3 | -0.1 | 0.4 | -0.2 | 1 | -1.1 | -1.1 |
| 2009 | 0 | -0.1 | 0 | -0.6 | -1.9 | -0.3 | 1 | 0 | 0.5 | 0.7 | -0.8 | -0.5 | -2.1 |
| 2010 | -0.7 | -0.2 | -0.5 | 0.6 | -0.2 | -0.3 | 0.6 | -1 | -0.2 | -0.4 | -1.6 | 0.5 | -3.2 |
| 2011 | -0.7 | -0.1 | -0.1 | 0.2 | 0.6 | -0.5 | 0.1 | 0.6 | 0.6 | 1 | -0.2 | 0.4 | 1.8 |
| 2012 | -0.5 | -0.5 | -0.5 | -0.3 | 0.7 | -0.5 | -0.5 | 0.6 | 0.1 | -0.3 | 0 | -0.5 | -2.3 |
| 2013 | -0.5 | 0.1 | 0.1 | 0.2 | -0.3 | -0.1 | -1 | -0.2 | -0.4 | -0.7 | -0.1 | -0.5 | -3.1 |
| 2014 | 0.4 | -0.1 | -0.4 | 0.1 | -0.1 | -0.5 | 0.4 | 0 | 0.7 | -0.2 | -0.4 | 0.1 | 0 |
| 2015 | 0.9 | 0.4 | 0.3 | -0.7 | -0.6 | -0.7 | 0.6 | 0.3 | -0.1 | 0.2 | 0.4 | 0.1 | 1.1 |
| 2016 | -0.4 | -0.9 | -0.2 | 0 | -0.2 | 0.1 | -0.5 | 0 | -0.2 | -0.1 | -0.5 | 0.3 | -2.6 |
| 2017 | -0.3 | -0.8 | 0.2 | -0.4 | -0.2 | -0.2 | 0.1 | -0.4 | -0.1 | -0.1 | 0.2 | 0.2 | -2 |
| 2018 | -0.7 | 0.3 | 0.2 | -0.3 | -0.6 | -0.1 | -0.4 | 0 | -0.5 | -0.1 | 0.2 | 0.4 | -1.6 |
| 2019 | -0.7 | -0.5 | -0.9 | -0.2 | 0.7 | -0.3 | 1 | 0 | 0.1 | -0.3 | -0.1 | -0.4 | -1.7 |
| 2020 | 0.5 | 1.1 | 0.3 | 0 | -0.1 | -0.2 | 0 | 0.3 | 0 | -0.3 | -0.6 | 0.1 | 1 |
| 2021 | 0.1 | -0.2 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-07-26 82.8 SPY 85.6 0.019 0.0105 -0.124 -0.203 -0.294 -0.371 NA <NA> NA NA NA
2 2002-07-29 81.8 SPY 89.8 0.0487 0.0921 -0.0972 -0.160 -0.245 -0.339 NA <NA> NA NA NA
3 2002-07-30 81.8 SPY 90.9 0.013 0.138 -0.081 -0.157 -0.228 -0.325 NA <NA> NA NA NA
4 2002-07-31 82.5 SPY 91.2 0.00240 0.076 -0.0605 -0.165 -0.235 -0.329 NA <NA> NA NA NA
5 2002-08-01 82.9 SPY 88.8 -0.0261 0.0569 -0.0652 -0.184 -0.262 -0.349 NA <NA> NA NA NA
6 2002-08-02 83.5 SPY 86.8 -0.0224 0.0139 -0.0913 -0.193 -0.282 -0.354 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
